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The convexity trap: pitfalls in financing mortgage portfolios and related securities

Author

Listed:
  • James H. Gilkeson
  • Stephen D. Smith

Abstract

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Suggested Citation

  • James H. Gilkeson & Stephen D. Smith, 1992. "The convexity trap: pitfalls in financing mortgage portfolios and related securities," Economic Review, Federal Reserve Bank of Atlanta, issue Nov, pages 14-27.
    • Handle: RePEc:fip:fedaer:y:1992:i:nov:p:14-27
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    Cited by:

    1. Raphael I. Udegbunam & Hassan E. Oaikhenan, 2012. "Interest Rate Risk of Stock Prices in Nigeria," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 11(1), pages 93-113, April.
    2. Jill L. Wetmore & John R. Brick, 1994. "Commercial Bank Risk: Market, Interest Rate, And Foreign Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(4), pages 585-596, December.
    3. Abdullah Mamun & M. Kabir Hassan & Neal Maroney, 2005. "The Wealth and Risk Effects of the Gramm‐Leach‐Bliley Act (GLBA) on the US Banking Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1‐2), pages 351-388, January.
    4. Kasman, Saadet & Vardar, Gülin & Tunç, Gökçe, 2011. "The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey," Economic Modelling, Elsevier, vol. 28(3), pages 1328-1334, May.
    5. Joseph, Nathan Lael, 2003. "Predicting returns in U.S. financial sector indices," International Journal of Forecasting, Elsevier, vol. 19(3), pages 351-367.
    6. Eric Powers, 2021. "The Optimality of Call Provision Terms," Management Science, INFORMS, vol. 67(10), pages 6581-6601, October.

    More about this item

    Keywords

    Hedging (Finance); Asset-backed financing;

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